Papers by gianfranco giulioni
Economic Modelling, 2010
In this paper we build a basic macroeconomic model aimed to grasp some aspects of the inner funct... more In this paper we build a basic macroeconomic model aimed to grasp some aspects of the inner functioning of macroeconomic fluctuations. We highlight a mechanism through which the appearance of a product innovation results in an eventual reduction of the aggregate economic activity. When a new product appears, demand moves towards this more attractive product. The ‘creative destruction’ effect in this context is represented by the resources lost when firms producing old varieties exit the market due to the shortage of demand. Because firms producing a given product receive on average the same amount of demand, exits happen to be highly synchronized. We use this fact to explain the fluctuation asymmetries observed in real data. We test the ability of the model to meet features of real data against the United States' GDP in the 1950–1992 period.
Journal of Economic Behavior & Organization, 2005
In this paper, we discuss a scaling approach to business fluctuations. Our starting point consist... more In this paper, we discuss a scaling approach to business fluctuations. Our starting point consists in recognizing that concepts and methods derived from physics have allowed economists to (re)discover a set of stylized facts which have to be satisfactorily accounted for in their models. Standard macroeconomics, based on a reductionist approach centered on the representative agent, is definitely badly equipped for this task. On the contrary, we show that a simple financial fragility agent-based model, based on complex interactions of heterogeneous agents, is able to replicate a large number of scaling type stylized facts with a remarkable high degree of statistical precision.
Agent's behaviour in a sequential Dutch auction: evidence from the Pescara wholesale fish market
Applied Economics Letters, 2011
ABSTRACT In this article we perform an empirical investigation to detect whether and to what exte... more ABSTRACT In this article we perform an empirical investigation to detect whether and to what extent agents' behaviour departs from those foreseen by the orthodox economic theory in the Pescara wholesale fish market, which has a centralized structure. Using non-parametric techniques and tools from statistical physics, we tackle the issue investigating features such as the dynamics of the structure of attendance in auctions, the varieties of fish presentation during the seller's turn and the presence of long-term relationships between buyers and sellers. We follow this way instead of focusing on the price dispersion and dynamics to avoid risking that the unobserved quality differences of the traded products might bias the results of the analysis.
Multiagent and Grid …, Jan 1, 2005
Economic Modelling, Jan 1, 2010
In this paper we build a basic macroeconomic model aimed to grasp some aspects of the inner funct... more In this paper we build a basic macroeconomic model aimed to grasp some aspects of the inner functioning of macroeconomic fluctuations. We highlight a mechanism through which the appearance of a product innovation results in an eventual reduction of the aggregate economic activity. When a new product appears, demand moves towards this more attractive product. The ‘creative destruction’ effect in this context is represented by the resources lost when firms producing old varieties exit the market due to the shortage of demand. Because firms producing a given product receive on average the same amount of demand, exits happen to be highly synchronized. We use this fact to explain the fluctuation asymmetries observed in real data. We test the ability of the model to meet features of real data against the United States' GDP in the 1950–1992 period.
Agents’ ability to manage information in centralized markets: Comparing two wholesale fish markets
Journal of Economic Behavior & Organization, Jan 1, 2011
In this paper, we perform an empirical investigation to detect if and how agents’ behavior change... more In this paper, we perform an empirical investigation to detect if and how agents’ behavior changes with the amount of available information they have. To this aim, we use data from two wholesale fish markets of different thicknesses. We tackle the issue by investigating features such as the dynamics of the structure of attendance in auctions, the varieties of fish presentations during the seller’s turn and the presence of long-term relationships between buyers and sellers. We perform the investigation in this way instead of focusing on the dispersion and dynamics of prices to prevent unobserved quality differences of the traded fish varieties from biasing the results of the analysis. The results of our investigation are consistent with a situation in which the magnitude of phenomena like buyers’ loyalty to sellers and agents following rules of thumb increases with the market thickness.► We investigate if the amount of available information affects buyers’ behavior. ► To this aim, we use data from two wholesale fish markets of different thicknesses. ► Buyers’ loyalty to sellers increases in magnitude with the market thickness. ► The same happens to the use of rules of thumb. ► The structure of attendance and the varieties presentations have been also analyzed.
Journal of Economic Behavior & Organization, Jan 1, 2011
In this paper we analyze the Ancona wholesale fish market (MERITAN) where transactions take place... more In this paper we analyze the Ancona wholesale fish market (MERITAN) where transactions take place in three simultaneous Dutch auctions. Our objective is to characterize the behavior of market participants and, in particular, that of buyers in such a market structure. Our analysis shows that buyer–seller relationships are less important than in a pairwise bargaining market such as the Marseille Fish market but that a significant amount of “loyalty” is still present under the auction mechanism. We provide an explanation of the “declining price paradox” for the fish market of Ancona by linking the rule used by the buyers to set their bid to the relationship between the variation in the price of the last transactions in the day and the quantity of fish available on that day. In fact, the average price tends to increase for the last transactions on days characterized by a limited supply of fish.► We analyze the three simultaneous Dutch auctions wholesale fish market of Ancona. ► We characterize the behavior of buyers and sellers in such a market structure. ► We find that buyers loyalty to sellers is still present under the auction mechanism. ► We explain the “declining price paradox” by modeling the buyers bidding strategy.
Assessing local knowledge dynamics: Regional Knowledge Economy Indicators
Scaling Laws in the Macroeconomy
Advances in Complex Systems, Jan 1, 2008
Abstract: The practice of detecting power laws and scaling behaviors in economics and finance has... more Abstract: The practice of detecting power laws and scaling behaviors in economics and finance has gained momentum in the last few years, due to the increased use of concepts and methods first developed in statistical physics. Some disappointment has emerged in ...
Economic resource allocation in application layer networks (such as grids) is critical to allow a... more Economic resource allocation in application layer networks (such as grids) is critical to allow applications and users to effectively exploit computational and data infrastructures like service-oriented computing as a utility. Thus, the evaluation of resource allocation strategies plays a major part in the selection of a resource allocation method. This paper presents an evaluation framework for resource allocation methods in application layer networks, that aims at supporting both a technical and an economic evaluation. The presented evaluation model shows a layered metrics pyramid with different aggregation levels. Statistical methods are used to describe this pyramid. On top of the pyramid, one single number, the social utility, is able to characterize an economic resource allocation method. This number may serve to compare different resource allocation strategies
Ssrn Electronic Journal, Jan 1, 2000
Macroeconomic Dynamics, Jan 1, 2007
Support for economic resource allocation in Application Layer Networks (such as Grids) is critica... more Support for economic resource allocation in Application Layer Networks (such as Grids) is critical to allow applications and users to effectively exploit computational and data infrastructure as a utility. The evaluation of resource allocation strategies plays a major part in the selection of a resource allocation method. This paper presents an evaluation framework for resource allocation methods in Application Layer Networks that attempts to support both a technical and an economic evaluation. The model uses a layered metrics pyramid with different aggregation levels and statistical methods.
Business Cycle Fluctuations and Firms' Size Distribution Dynamics
Advances in Complex Systems, Jan 1, 2004
Power law behavior is an emerging property of many economic models. In this paper we emphasize th... more Power law behavior is an emerging property of many economic models. In this paper we emphasize the fact that power law distributions are persistent but not time invariant. In fact, the scale and shape of the firms' size distribution fluctuate over time. In partic-ular, on a loglog space, ...
Power laws and macroeconomic fluctuations
Physica A-statistical Mechanics and Its Applications, Jan 1, 2003
We study the duration distribution of recessions and recoveries occurred in a pool of industriali... more We study the duration distribution of recessions and recoveries occurred in a pool of industrialized countries during the last 120 years. We find that for recessions the duration is distributed according to a power law, and that the power exponent is virtually invariant as we split up the time span into sub-periods. The evidence regarding the duration of recoveries is mixed, however.
Information Sciences, Jan 1, 2007
Standard macroeconomics, based on a reductionist approach centered on the representative agent, i... more Standard macroeconomics, based on a reductionist approach centered on the representative agent, is badly equipped to explain the empirical evidence where heterogeneity and industrial dynamics are the rule. In this paper we show that a simple agent-based model of heterogeneous financially fragile agents is able to replicate a large number of scaling type stylized facts with a remarkable degree of statistical precision.
In this paper, we model an agent-based economy in which heterogeneous agents (firms and a bank) i... more In this paper, we model an agent-based economy in which heterogeneous agents (firms and a bank) interact in the financial markets. The heterogeneity is due to the balance sheet conditions and to size. In our simulations, at the aggregate level, output displays changes in trend and volatility giving rise to complex dynamics. The average solvency and liquidity ratios peak during recessions as empirical analysis shows. At the firm level the model generates: i) firm sizes left-skewed distributed, ii) growth rates Laplace distributed. Furthermore, small idiosyncratic shocks can generate large aggregate fluctuations.
Journal of Economic Behavior & Organization, Jan 1, 2003
We model the entry–exit process of industrial dynamics within a theoretical framework, in which t... more We model the entry–exit process of industrial dynamics within a theoretical framework, in which the financial conditions of firms affect capital accumulation. The patterns of entry and exit affect the dynamics of the distribution of firms which are differentiated by the equity ratio, i.e. the ratio of net worth to the capital stock. We perform numerical simulations to study the interactions among changes in financial fragility, industrial dynamics and the macroeconomic performance.
Multiagent and Grid Systems, Jan 1, 2005
Grid computing has recently become an important paradigm for managing computationally demanding a... more Grid computing has recently become an important paradigm for managing computationally demanding applications, composed of a collection of services. The dynamic discovery of services, and the selection of a particular service instance providing the best value out of the discovered alternatives, poses a complex multi-attribute n:m allocation decision problem, which is often solved using a centralized resource broker. To manage complexity, this article proposes a two-layer architecture for service discovery in such Application Layer Networks (ALN). The first layer consists of a service market in which complex services are translated to a set of basic services, which are distinguished by price and availability. The second layer provides an allocation of services to appropriate resources in order to enact the specified services. This framework comprises the foundations for a later comparison of centralized and decentralized market mechanisms for allocation of services and resources in ALNs and Grids.
Journal of Economic Behavior & Organization, Jan 1, 2005
In this paper, we discuss a scaling approach to business fluctuations. Our starting point consist... more In this paper, we discuss a scaling approach to business fluctuations. Our starting point consists in recognizing that concepts and methods derived from physics have allowed economists to (re)discover a set of stylized facts which have to be satisfactorily accounted for in their models. Standard macroeconomics, based on a reductionist approach centered on the representative agent, is definitely badly equipped for this task. On the contrary, we show that a simple financial fragility agent-based model, based on complex interactions of heterogeneous agents, is able to replicate a large number of scaling type stylized facts with a remarkable high degree of statistical precision.
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Papers by gianfranco giulioni